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Fair · 2022年03月26日

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  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000078

问题如下：

Which of the following statement about Right-Way Risk(RWR) and Wrong-Way Risk(WWR) is not correct?

选项：

A.

In the 2008 financial crisis, the CDSs buyer is facing WWR.

B.

The depreciation of the foreign currency leads to losses in foreign currency transactions and increases the probability of counterparty default，the foreign currency inverstor is facing WWR.

C.

A long call option is facing RWR if both the risk exposure and counterparty default probability decrease.

D.

A long put option is facing WWR, if the risk exposure and counterparty default probability both increase.

解释：

B is correct.

考点：Wrong-Way Risk Vs. Right-Way Risk

解析：外币贬值导致外币投资的亏损，此时我方收益减少或者损失增加，在对方看来我方的违约率可能会增加。

换言之此时exposure和违约概率不会同时变大，B错误。

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DD仔_品职助教 · 2022年03月27日

嗨，努力学习的PZer你好：


同学你好，

题目问下面关于WWR和RWR不正确的是哪一个。

WWR指的是对手方信用风险上升，我的信用敞口也上升；

RWR是对手方信用风险上升，我的信用敞口下降。

信用敞口指的是我赚的钱，赚的钱越多，敞口越大。

如果说亏钱，我是没有信用敞口的。

这个题不正确的是B，B说外汇贬值会使得外汇投资者面临WWR，这里的结论不正确。

因为我们作为foreign currency investor，当汇率下降的时候，我们的收益会下降，收益下降代表的我们面临的信用风险敞口下降（对手方欠我们的钱就变少了，敞口也就下降）。

同时，汇率下降，对手方也会出现收益下降甚至亏损，盈利变差会导致信用状况出现问题，那么我们作为foreign currency investor也就面临的对手方的违约风险上升的可能。所以，foreign currency investor是面临的RWR，而不是WWR，

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